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dc.contributor.authorHannsgen, Gregen_US
dc.description.abstractSince Christopher Sims's Macroeconomics and Reality” (1980), macroeconomists have used structural VARs, or vector autoregressions, for policy analysis. Constructing the impulseresponse functions and variance decompositions that are central to this literature requires factoring the variance-covariance matrix of innovations from the VAR. This paper presents evidence consistent with the hypothesis that at least some elements of this matrix are infinite for one monetary VAR, as the innovations have stable, non-Gaussian distributions, with characteristic exponents ranging from 1.5504 to 1.7734 according to ML estimates. Hence, Cholesky and other factorizations that would normally be used to identify structural residuals from the VAR are impossible.en_US
dc.publisher|aLevy Economics Institute of Bard College |cAnnandale-on-Hudson, NYen_US
dc.relation.ispartofseries|aWorking papers // The Levy Economics Institute |x546en_US
dc.subject.keywordVector autoregressionsen_US
dc.subject.keywordstable distributionsen_US
dc.subject.keywordstable-paretian distributionsen_US
dc.subject.keywordInfinite varianceen_US
dc.subject.keywordmonetary policyen_US
dc.titleDo the innovations in a monetary VAR have finite variances?en_US
dc.type|aWorking Paperen_US

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